日経225先物市場の価格発見機能 -大阪証券取引所とシンガポール取引所からの証左-

概要

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This paper investigates the intraday price discovery process among three futures based on the Nikkei Stock Average: the regular Nikkei 225 futures traded on the Singapore Exchange (SGX), the Osaka Stock Exchange (OSE) and Nikkei 225 mini futures listed on the OSE, using intraday transaction data. Using the Hasbrouck methodologies, the information shares of the three futures markets are estimated to compare the information efficiency among the Nikkei 225 futures markets. The empirical results show that about 45% of the price discovery occurs in the Nikkei 225 mini futures market on the OSE, and the regular Nikkei 225 futures on the OSE has little contribution in terms of price discovery. These results suggest that price discovery tends to occur in the market with a smaller contract unit and minimum price fluctuation.
2013-03-00